Blogging Options: CBOE Morning Update

Good morning from Denver.

Volatility as an asset class;

Applied Materials (AMAT) is up 1c to $11.17 in the premarket after announcing a 6%-9% global workforce reduction. Overall option implied volatility of 28 is near its 26-week average.

NuVasive (NUVA) is down $6.79 to $15.83 in the premarket after lowering its Q3 revenue outlook. Overall option implied volatility of 52 is near its 26-week average of 53.

Marriott (MAR) is recently up 70c to $39.70 in the premarket on better than expected Q3 results and guidance. Overall option implied volatility of 30 is near its 26-week average of 28.

CBOE Volatility Index (VIX) closed at 15.43, above its 10-day moving average of 15.24 and below its 50-day MA of 15.78.

Calls with increasing volume at CBOE;

QQQ 10/20/2012 72 21K contracts

PSX 11/17/2012 49 12K

SPY 11/17/2012 149 10K

BAC 10/20/2012 10 9K

DIA 11/17/2012 138 9K

AAPL 10/5/2012 670 8K

U.S. stocks are higher into Friday’s September U.S. employment report. Weekly claims were higher but beat estimates slightly. Previous weeks were revised a little higher. Talking heads discussing results of US Presidential Debate last night. Gov. Romney getting good grades on his performance.

FB up ~2% as it hits it’s 1 Billionth user. Europe talking progress…. again.

Interesting CBOE blog by Joe Cusick last night (see previous blog). It’s all in the title – “Article 5” – meaning Article 5 of NATO pact – any attack on a member (Syria firing on Turkey, a NATO member) is an attack on all members. European and US markets ignoring border shooting – so far.

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